That goes without saying, Keith. When you have two color temperatures of light in the shot, you balance to one or the other, or something in between. It's your choice, but you obviously cannot balance both to match each other without using special black magic.
IMO, filtering for the shade is the most aesthetically pleasing option in most cases, but that is up to the shooter. No biggie if the daylit areas go warm...in fact, it might be very nice.